I think this should work if you don't have the SQL Server project option....
1 - open VS 2005, and choose new project, type "Class Library". Name it the same as in the article (YahooGCSQL), just to keep it straightforward.
2 - erase everything in Class1.cs and replace with the code included in the article
3 - rename Class1.cs to YahooGCSQL.cs & rename the project as well
I think this should work for you. Give it a try. If there are C# experts out here that know of a better way, just let us know.